On uniqueness of time-consistent Markov policies for quasi-hyperbolic consumers under uncertainty
Kevin Reffett and
No 2016-020, Working Papers from Warsaw School of Economics, Collegium of Economic Analysis
We give a set of sufficient conditions for uniqueness of a time-consistent Markov stationary consumption policy for a quasi-hyperbolic household under uncertainty. To the best of our knowledge, this uniqueness result is the first presented in the literature for general settings, i.e. under standard assumptions on preferences, as well as some new condition on a transition probability. This paper advocates a ''generalized Bellman equation'' method to overcome some predicaments of the known methods and also extends our recent existence result. Our method also works for returns unbounded from above. We provide few natural followers of optimal policy uniqueness: convergent and accurate computational algorithm, monotone comparative statics results and generalized Euler equation.
Keywords: Time consistency; Markov equilibria; Uniqueness; Stochastic games; Generalized Bellman equation (search for similar items in EconPapers)
JEL-codes: C62 C73 D91 (search for similar items in EconPapers)
Pages: 21 pages
New Economics Papers: this item is included in nep-dge and nep-ore
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Journal Article: On uniqueness of time-consistent Markov policies for quasi-hyperbolic consumers under uncertainty (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:kaewps:2016020
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